Usually when I have sex with my wife, I imagine her very close friends and relatives. I talk to my wife about my fantasy and I get excited about it. Coincidentally, my wife takes these things very seriously during sex, but later I feel a little embarrassed. Although I find it very enjoyable. I don't know if it could have any psychological effect on me and my wife.
Many people think about others while having sex with their partner. Thinking about other people is just as common as imagining about someone else. You don't have to worry about that. The fact that you and your spouse have this kind of openness, honesty, and communication about each other without comment is commendable. This is the true basis of any satisfying sex life.
As far as sexual fantasy is concerned, the human brain behaves very hard and in the best way. In real life we are bound by social norms, marital difficulties and our responsibilities, but in the free world of our imaginary world we can ignore the things that are forbidden to us and we have such excitement. You can enjoy the freedom that we want, that which you deem morally bad anyway, can make you sexually aroused. If you deprive yourself of this pleasure, it will make it more difficult. It's good that both you and your wife enjoy this kind of fantasy and thus strengthen your relationship and intimacy.
The presence of your sexual fantasy makes your sex more excited and it gives you more pleasure. You may not even want to look at it in real life. Having a fantasy and acting on it are two different things. Just because you think of a great friend or relative during sex with your wife doesn't mean you will do the same with them in real life.